The Amiti-Weinstein estimator: an equivalence result

DOI10.1016/J.ECONLET.2016.11.039MaRDI QIDQ1672785zbMATH OpenOpenAlexFDO

Authors Joris Tielens, Jan Van Hove

Publication date 11 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2016.11.039

zbMATH Keywords

credit demand shockscredit supply shocksweighted least squares

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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(2)

• On the equality of usual and amemiya's partially generalized least squares estimator
• The Frisch-Waugh-Lovell theorem for standard errors

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